I agree with Richawriter, storms are really soothing - as long as you're not outside getting soaked!- and I love the feeling you get before they come, and how the wind picks up and it gets chilly.
I don't like being outside when a storm hits, not because I'm scared of thunder or lightening, but because of the other weather phenomenon that often accompanies them. I was out having a bbq by a lake a few weeks ago and a thunder storm hit, we had to cycle home in what felt like a tornado with little rocks hitting us in the face. It was most unpleasant, I can assure you!
I think adults who are afraid of thunderstorms were probably afraid of them as children as there's nothing really frightening about them, but it's easy to see why a child might think there is. When I was younger my step-sister used to be terrified of the way the wind during a thunderstorm made the letterbox slam against the door as she thought it sounded like there was someone trying to get into the house.